Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation
From MaRDI portal
Publication:2100415
DOI10.1007/S00500-021-06074-9zbMath1498.91452OpenAlexW3193010189WikidataQ115606547 ScholiaQ115606547MaRDI QIDQ2100415
Geng Li, Huadong Wu, Xiangfeng Yang
Publication date: 22 November 2022
Published in: Soft Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00500-021-06074-9
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Unnamed Item
- Unnamed Item
- Uncertain differential equations
- Valuation of power option for uncertain financial market
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model
- Valuation of stock loan under uncertain environment
- Barrier option pricing of mean-reverting stock model in uncertain environment
- Parameter estimation of uncertain differential equation with application to financial market
- Equity warrants pricing problem of mean-reverting model in uncertain environment
- An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility
- Asian-barrier option pricing formulas of uncertain financial market
- Lookback options pricing for uncertain financial market
- Valuation of stock loan under uncertain mean-reverting stock model
- Uncertainty theory
This page was built for publication: Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation